Nonparametric estimation for independent and identically distributed stochastic differential equations with space-time dependent coefficients

DOI10.1137/23M1581662zbMATH Open1541.60057MaRDI QIDQ6554970

F. Comte, V. Genon-Catalot

Publication date: 13 June 2024

Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

zbMATH Keywords

stochastic differential equationsprojection methodleast squares estimatoradaptive estimationnonparametric drift estimationinhomogeneous diffusions

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Diffusion processes (60J60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60)

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